Commodities Weekly Sentiment Tracker

Note: Using the z-score in the tables below as a coefficient of variation for standard error helps us flag the relative market positioning of the commodities in the CRB Index. It is not intended as a predictive signal for the reversion to trailing twelve month historical averages. For week-end price data, please refer to “Commodities: Weekly Quant” published at the end of the previous week. Feel free to ping us for additional color.    



1.       CFTC Net Futures and Options Positioning CRB Index: The Commodities Futures Trading Commission (CFTC) releases “Commitments of Traders Reports” at 3:30 p.m. Eastern Time on Friday. The release usually includes data from the previous Tuesday (Net Positions as of Tuesday Close), and includes the net positions of “non-commercial” futures and options participants. A “Non-Commercial” market participant is defined as a “speculator.” We observe the weekly marginal changes in the overall positioning of “non-commercial” futures and options positions to assess the directionally-biased capitulation risk among those with large, speculative positions.


  • The WHEAT, SOYBEANS, AND SILVER markets experienced the most BULLISH relative positioning changes week-over-week
  • The SUGAR, COTTON, AND COFFEE markets experienced the most BEARISH relative positioning changes week-over-week

Commodities Weekly Sentiment Tracker - chart1 cftc


2.       Spot – Second Month Basis Differential: Measures the market expectation for forward looking prices in the near-term.

  • The SUGAR, CORN, AND LEAN HOGS markets are positioned for HIGHER PRICES near-term
  • The HEATING OIL, COCOA, AND ORANGE JUICE markets are positioned for LOWER PRICES near-term

Commodities Weekly Sentiment Tracker - SPOT 2ND MONT VF


3.       Spot – 1 Year Basis Differential: Measures the market expectation for forward-looking prices between spot and the respective contract expiring 1-year later.

  • The SUGAR, BRENT CRUDE OIL, AND COTTON markets are positioned for HIGHER PRICES in 1-year  
  • The LEAN HOGS, LIVE CATTLE, AND COCOA markets are positioned for LOWER PRICES in 1-year  

Commodities Weekly Sentiment Tracker - chart3 spot 1yr basis


4.       Open Interest: Aggregate open interest measures the amount of opened positions in all actively traded futures contract months. Open interest can be thought of as “naked” or “directionally-biased” contracts as opposed to hedgers scalping and providing liquidity. Most of the open interest is created from large speculators or participants who are either: 1) Producers/sellers of the physical commodity hedging their cash market exposure or 2) Large speculators who are directionally-biased on price.


Commodities Weekly Sentiment Tracker - chart4 open interest         


Ben Ryan



Takeaway: Macau posted the worst comp in almost 2 years.


The latest numbers from Macau continue to reach new weekly lows in 2014. While this was expected given the forthcoming visit by the Chinese President this Friday/Saturday, estimates will continue to be revised lower until the bleeding stops. 


We remain below the Street for Q4 and 2015 for all the operators. The good news is that the Street is finally cutting estimates but the bad news is that the Street is still not low enough. 


Please see more details in our note: CLICK HERE


Takeaway: The Athletic Black Book-call details and time change. Hedgeye Retail Idea List (LULU, ZQK, RL, WSM, WMT). PETM pods justify multiple.

The Athletic Black Book (***Please note date and time change)


On Thursday, December 18 at 1:00pm EST, Hedgeye's Retail Team will be hosting a call to review our next Black Book, which will be focused on the Athletic footwear and apparel space.  


Specific names include Nike (NKE), Adidas (ADDYY), UnderArmour (UA), Foot Locker (FL), Hibbett (HIBB), Dick's Sporting Goods (DKS), and Finish Line (FINL) - which collectively offer up a good mix of longs and shorts.

Retail Callouts (12/15): ATHLETIC BLACK BOOK, IDEA LIST, PETM, LULU, ZQK, RL, WSM, WMT - 12 15 chart2


Call Details

Toll Free Number:

Toll Number:

Password: 13597073

Materials: CLICK HERE




Retail Callouts (12/15): ATHLETIC BLACK BOOK, IDEA LIST, PETM, LULU, ZQK, RL, WSM, WMT - 12 15 chart1B


We made the following changes to our idea list this week.

  • LULU: Still on our Best Idea list, but the stock is up 35%, and the reality is that the management team has really done little to deserve it. We're taking it down a couple of notches on our list below RL and NKE for now. We should be seeing better growth in the business as LULU laps its product and PR gaffes from last year. We still think that there will be big changes at the company, which will likely come after the new CFO starts (within 3 months). We rarely put so much stock in one individual, but for several reasons, we think it makes sense with LULU. See our note LULU - Long, But On A Short Leash from last week for more details.
  • ZQK off of our Long Bench.  We've been holding out hope that what once appeared to be a rock star management team would start to deliver, and that a $2 stock would prove to be a great call option. But the reality is that this team can't get it together. Not worth our time.
  • RL: moved it two notches higher on our idea list. No change in the model, but the risk/reward relative to other names on the long sheet is looking better.
  • WSM: moved two notches higher on our Short Bench, as we're getting that much closer to the point where RH will begin to compete with WSM in kitchens. Perhaps not a negative earnings event for WSM immediately, but it won't help the multiple.
  • WMT: Off our Short Bench. No reason other than the fact that it has been on our bench for most of 2H14. We don't see a company-specific reason to press this one, and with oil in a free fall, it only helps WMT.




Retail Callouts (12/15): ATHLETIC BLACK BOOK, IDEA LIST, PETM, LULU, ZQK, RL, WSM, WMT - 12 13 chart3





PETM - Consortium led by BC Partners to Acquire PetSmart for $83.00 per Share in Cash



Takeaway: Nothing unexpected here given all the activism over the past year, and the fact that the stock spiked to the high-$70s in mid-November. What's interesting is that the take-out is about 9x EBITDA, which at face value looks cheap compared to other bids like what we've seen at FDO -- a lesser quality company but with bids as high as 12x EBITDA.   That said, PETM is one of the select few retailers that never put up a negative annual comp. But it's on track to break that trend this year -- with negative comps in 2 of the three quarters-to-date. At the same time peak productivity is rolling over, the company is sitting at peak Gross Margins, trough SG&A margins, and obviously peak EBIT mgns. With that context, the 9x EBITDA multiple seems a lot more fair.




H&M - November Sales +10% vs Consensus  +7%


AMZN, AAPL - Apple Heads to Court Monday in E-Book Appeal



DG, FDO, DLTR - Delayed merger vote is all about the almighty ‘Dollar’



AMZN - Expands Delivery Options; Introduces Amazon Pickup Points for Customers Across Canada



Jim Wiggett Named Chief Executive Officer of bebe stores, inc.



Labor Board Rules to Speed Union Elections


Hedgeye Morning Macro Call with CEO Keith McCullough: This is Why We're Not Going To Be In Barron's

On this morning’s institutional Macro Call, Keith urged you to steer clear of the Russell 2000, the Barron’s Forecasters, and  Johnny Manziel.


***This is a complimentary peek behind-the-macro-scenes of our daily Morning Macro Call for institutional subscribers.***


European Banking Monitor: Financials and Sovereigns Widen

Below are key European banking risk monitors, which are included as part of Josh Steiner and the Financial team's "Monday Morning Risk Monitor".  If you'd like to receive the work of the Financials team or request a trial please email 




Key Takeaway:


Continuing to highlight Russia, the country's Sberbank CDS continue to drastically widen (+64 bps WoW, +204 bps MoM).  The ruble continued to fall alongside the drop in oil prices last week, even with Russia's central bank decision to lift its key interest rate.


Greece re-entered the risk spotlight with banks CDS widening by more than +200 bps; the country's snap presidential election rekindled investor worries about the country's recovery.


European Financial CDS - Swaps mostly widened in Europe last week.  The average move was a drastic +14.8%.  The only two institutions whose CDS tightened were Portugal's Banco Espirito Santo and the UK's HBOS.  HBOS' swaps tightened by only -1 bps.  Banco Espiroto Santo's swaps continued to tighten after the December 4 news that the bank was nearing a sale of some of its parts.


Greek bank swaps blew out last week, with CDS widening +216 bps on average, on the announcement of a snap presidential election.  The announcement sparked fresh investor fears over how long-lasting and/or effective Greek fiscal reform will be.


European Banking Monitor: Financials and Sovereigns Widen  - chart1 financial CDS


Sovereign CDS – Sovereign swaps widened across the board last week. Spanish sovereign swaps widened by 26.8% (22 bps to 105), while Portuguese swaps widened by 37 bps.  The global theme last week was derisking as the Global Dow fell -4.43% and CDS nearly universally widened. 


European Banking Monitor: Financials and Sovereigns Widen  - chart2 sovereign CDS


European Banking Monitor: Financials and Sovereigns Widen  - chart3 sovereign CDS


European Banking Monitor: Financials and Sovereigns Widen  - chart4 sovereign CDS


Euribor-OIS Spread – The Euribor-OIS spread (the difference between the euro interbank lending rate and overnight indexed swaps) measures bank counterparty risk in the Eurozone. The OIS is analogous to the effective Fed Funds rate in the United States.  Banks lending at the OIS do not swap principal, so counterparty risk in the OIS is minimal.  By contrast, the Euribor rate is the rate offered for unsecured interbank lending.  Thus, the spread between the two isolates counterparty risk. The Euribor-OIS spread widened by 1 bps to 9 bps.


European Banking Monitor: Financials and Sovereigns Widen  - chart5 euribor OIS spread


Matthew Hedrick 



Ben Ryan






Keith's Macro Notebook 12/15: Japan | UST 10YR | Sentiment


Hedgeye CEO Keith McCullough shares the top three things in his macro notebook this morning.

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